Check out the latest research papers SwapsInfo First Half of 2023 and the Second Quarter of 2023 Review: Summary and Transition to RFRs Review: First Half of 2023 and the Second Quarter of 2023.
Please note the section on IRD benchmark data analysis has been discontinued as the USD LIBOR panel ceased on June 30, 2023.
Interest Rate Derivatives
2023 YTD vs. 2022 YTD
- Total IRD traded notional and trade count increased by 15% and 17%, respectively
- Fixed-for-floating IRS traded notional and trade count decreased by 43% and 7%, respectively
- FRA traded notional increased by 1%, while trade count decreased by 2%
- OIS traded notional and trade count increased by 58% and 49%, respectively
- 77% of total traded notional was cleared vs. 75% last year
- 52% of total traded notional was executed on SEFs vs. 59% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under CFTC Regulations
2023 YTD vs. 2022 YTD
- Total index credit derivatives traded notional and trade count decreased by 29% and 18%, respectively
- CDX HY traded notional and trade count decreased by 24% and 16%, respectively
- CDX IG traded notional and trade count decreased by 26% and 16%, respectively
- iTraxx Europe traded notional and trade count decreased by 32% and 10%, respectively
- 86% of total traded notional was cleared vs. 83% last year
- 84% of total traded notional was executed on SEFs vs. 82% last year
2023 Current Week vs. 2022 Current Week
Credit Derivatives Reported under SEC Regulations
YTD Ending July 28, 2023
- Total security-based credit derivatives traded notional totaled $419.2 billion, while trade count totaled 134.9 thousand
- Corporate single-name CDS traded notional totaled $320.4 billion, and trade count was 104.4 thousand
- Sovereign single-name CDS traded notional totaled $78.5 billion, and trade count was 19.8 thousand
- 50% of total traded notional was cleared
